Depends on how rounded off is the allen socket. I have had success with five methods in the past. The first thing before doing anything is to get a fresh good quality allen key, just in case some sides are worn on the original.
Give the grub screw some WD40 or RP7. Clean up the head of the grub screw carefully with acetone or isopropyl. Give it some time for the lubricant to settle in threads before taking next steps.
Applying some heat onto the grub screw would be good, but its difficult because of heat transference into the surrounding metal. In situations where a small blowtorch was impractical e.g. damage to paint surfaces, I have tried placing a soldering iron tip directly to the screw head to get it hot. Not sure if it made any difference
1) Use aluminium kitchen foil placed over the socket and push the allen key into the socket so it traps some foil in the socket. The foil might take up enough slack for your fresh key to work. Double over layers as required until a tight fit, if at all possible
2) Use a rubber band place over the socket and push the allen key into it so it grips the inside of the socket better. (Probably impractical given it is a small sized allen socket)
3) Dabb a bit of superglue onto the allen key and hold it in place in the socket until dry. This one is tricky if done wrong as it might leak onto the body of the grub screw and things gets worse
4) Get a small drill bit and carefully drill out the screw and use an awl to remove bits still in the thread. Possible to damage threads or leave bits behind that weld into place when you screw in another grub screw
5) I have used a screw extractor before but never on anything as small as 2 mm
I am sure more mechanically minded in the forum have more elegant solutions
Ted